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There are 5220 results for: content related to: Structural Counterparty Risk Valuation for Credit Default Swaps

  1. ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS

    Mathematical Finance

    Volume 24, Issue 1, January 2014, Pages: 125–146, Damiano Brigo, Agostino Capponi and Andrea Pallavicini

    Version of Record online : 14 JUN 2012, DOI: 10.1111/j.1467-9965.2012.00520.x

  2. Stress Testing and the Mistakes of the Crisis

    Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators

    Massimo Morini, Pages: 111–169, 2012

    Published Online : 23 MAY 2012, DOI: 10.1002/9781118467312.ch3

  3. Counterparty Credit Risk

    Financial Derivatives: Pricing and Risk Management

    Robert W. Kolb, James A. Overdahl, Pages: 283–294, 2011

    Published Online : 29 NOV 2011, DOI: 10.1002/9781118266403.ch20

  4. You have free access to this content
    BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING

    Mathematical Finance

    Volume 25, Issue 1, January 2015, Pages: 1–22, Stéphane Crépey

    Version of Record online : 12 DEC 2012, DOI: 10.1111/mafi.12004

  5. Quantifying Credit Correlation Risk

    Correlation Risk Modeling and Management An Applied Guide Including the Basel III Correlation Framework - with Interactive Correlation Models in Excel®/VBA

    Gunter Meissner, Pages: 201–234, 2013

    Published Online : 13 DEC 2013, DOI: 10.1002/9781118809204.ch10

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    BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA

    Mathematical Finance

    Volume 25, Issue 1, January 2015, Pages: 23–50, Stéphane Crépey

    Version of Record online : 12 DEC 2012, DOI: 10.1111/mafi.12005

  7. You have free access to this content
    Bibliography

    Counterparty Credit Risk, Collateral and Funding: With Pricing Cases for All Asset Classes

    Damiano Brigo, Massimo Morini, Andrea Pallavicini, Pages: 415–421, 2013

    Published Online : 28 AUG 2013, DOI: 10.1002/9781118818589.biblio

  8. Managing Counterparty Risk

    Managing Hedge Fund Risk and Financing: Adapting to a New Era

    David P. Belmont, Pages: 299–313, 2012

    Published Online : 21 MAR 2012, DOI: 10.1002/9781118390511.ch6

  9. Regulating OTC Derivatives

    Regulating Wall Street: The Dodd-Frank Act and the New Architecture of Global Finance

    Viral V. Acharya, Or Shachar, Marti Subrahmanyam, Pages: 367–425, 2011

    Published Online : 29 NOV 2011, DOI: 10.1002/9781118258231.ch13

  10. Credit Contagion Channels: Market Microstructure Evidence from Lehman Brothers’ Bankruptcy

    Financial Management

    Volume 41, Issue 2, Summer 2012, Pages: 320–343, Bidisha Chakrabarty and Gaiyan Zhang

    Version of Record online : 4 APR 2012, DOI: 10.1111/j.1755-053X.2012.01194.x

  11. Credit Contagion from Counterparty Risk

    Financial Contagion: The Viral Threat to the Wealth of Nations

    Philippe Jorion, Gaiyan Zhang, Pages: 245–251, 2011

    Published Online : 29 NOV 2011, DOI: 10.1002/9781118267646.ch27

  12. The market for credit default swaps: new insights into investors' use of accounting information?

    Accounting & Finance

    Volume 54, Issue 3, September 2014, Pages: 847–883, Paul A. Griffin

    Version of Record online : 23 SEP 2014, DOI: 10.1111/acfi.12092

  13. Preparing for Model Change. Rates and Funding in the New Era

    Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators

    Massimo Morini, Pages: 171–215, 2012

    Published Online : 23 MAY 2012, DOI: 10.1002/9781118467312.ch4

  14. Centralized Clearing for Credit Derivatives

    Restoring Financial Stability: How to Repair a Failed System

    Viral V. Acharya, Robert F. Engle, Stephen Figlewski, Anthony W. Lynch, Marti G. Subrahmanyam, Pages: 251–268, 2012

    Published Online : 9 JAN 2012, DOI: 10.1002/9781118258163.ch11

  15. Credit Contagion from Counterparty Risk

    Lessons from the Financial Crisis: Causes, Consequences, and Our Economic Future

    Philippe Jorion, Gaiyan Zhang, Pages: 509–516, 2011

    Published Online : 29 NOV 2011, DOI: 10.1002/9781118266588.ch63

  16. Credit Derivatives and Counterparty Credit Risk

    Handbook of Financial Risk Management: Simulations and Case Studies

    N.H. Chan, H.Y. Wong, Pages: 255–301, 2013

    Published Online : 21 JUN 2013, DOI: 10.1002/9781118573570.ch7

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    Front Matter

    Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets, Second Edition

    Jon Gregory, Pages: i–xxii, 2013

    Published Online : 15 APR 2013, DOI: 10.1002/9781118673638.fmatter

  18. Balance-Sheet CLOs and CDOs

    Structured Finance and Collateralized Debt Obligations: New Developments in Cash and Synthetic Securitization, Second Edition

    Janet M. Tavakoli, Pages: 295–330, 2011

    Published Online : 6 DEC 2011, DOI: 10.1002/9781118268230.ch12

  19. Margining

    Central Counterparties: Mandatory Clearing and Bilateral Margin Requirements for OTC Derivatives

    Jon Gregory, Pages: 75–103, 2014

    Published Online : 27 JUN 2014, DOI: 10.1002/9781118891568.ch6

  20. Use of Interest Rate Derivatives in Securitization Transactions

    Introduction to Securitization

    Frank J. Fabozzi, Vinod Kothari, Pages: 101–122, 2011

    Published Online : 29 NOV 2011, DOI: 10.1002/9781118266892.ch6